Can you try following steps:
1. Browse to the file 'RedGate.SQLDataGenerator.UI' which will be in the installation path by default : x64: C:\\Program Files (x86)\\Red Gate\\SQL Data Generator 1 for x86: C:\\Program Files\\Red Gate\\SQL Data Generator 1
2. Right click the file and select the option "Run as Administrator"

Look's like i've managed to solve the problem. I had to grant full access to the folder

C:\\Program Files (x86)\\Red Gate\\SQL Data Generator 1\\Config

for the user that is running the generator.

The 'error/warning' message does not appear anymore.

Additional Notes for everyone else:

I tried setting the Privilege Level "Run this program as an administrator" for all users for "SQLDataGenerator.exe" this quickly prompted Windows 7 to ask "Do you want the following program from an unknown publisher to make changes to this computer" which didn't work for me.